中国国债期货产品设计研究-金融工程毕业论文

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1、本科毕业论文（设计）中国国债期货产品设计研究院（系）金融学院专业金融工程班级学号学生姓名指导教师提交日期毕业论文(设计)成绩评定表毕业论文（设计）指导教师评语及成绩成绩指导教师签名年月日毕业论文（设计）复评教师评语及成绩成绩复评教师签名年月日毕业论文（设计）答辩评语及成绩成绩答辩委员会主席签名年月日毕业论文（设计）总成绩（五级记分制）学院负责人签名年月日中文摘要本文的研究对象是中国国债期货。国债期货作为利率期货的一种，对经济运行起着重要的作用。基于此，我国早在90年代便推出国债期货，然而由于市场

2、的不成熟与合约设计的不合理，“327”国债期货事件让中国政府叫停了第一次国债期货的试点。到2013年，中金所重启了国债期货交易。文章通过反思“327”国债期货合约的失败，并借鉴美国美国五年期国债期货合约的设计，得出现行国债合约的设计优点和特点。最后进行3年期的中国国债期货合约设计尝试。关键词:国债期货；启示；合约设计AbstractTheobjectofpaperistheChinesegovernmentbondfutures.Asaninterestratefuturesgovernment

3、bondfuturesplaysanimportantroleontheeconomy.Basedonthis,ourcountryhavebeenlaunchedbondfuturesasearlyasthe1990s,,however,duetotheimmaturityofthemarketandtheunreasonablecontractdesign,"327"bondfutureseventsmadetheChinesegovernmenttohaltthepilotbondfutu

4、res.By2013,ChinaFinancialFuturesExchangerestartofthebondfutures.Throughreflectionthefailedof"327"bondfuturescontracts,andlearnAmericanfive-yearbondfuturescontractdesign,wecanconcludetheadvantagesandfeaturesofthecurrentdrawndebtcontracts.Finally,tryto

5、designtheChinese3-yearbondfuturescontract.Keywords：Chinesegovernmentbondfutures;Revelation;ContractDesign目录一、引言··································································1（一）研究背景和意义·····················································1（二）国内外文献

6、综述·········································1二、国债期货交易与国债期货合约···································2（一）国债期货交易的概念与特征·····························2（二）国债期货合约的主要构成······························3（三）中长期国债期货定价·····························3（四）标准券和最便宜交割券··········

7、·················4三、327国债期货合约与国债期货交易试点的失败··············4（一）上交所327国债期货合约······························4（二）国债期货交易试点的失败··································5四、美国国债期货产品设计经验······································6（一）美国5年期国债期货合约介绍······························

8、6（二）美国国债期货设计··································7（三）美国国债期货产品设计经验·····························8五、我国现行国债期货合约设计········································8（一）现行5年期国债期货合约······························8（二）现行5年期国债期货合约特点··································9六、3年期的中